Browsing Mathematics (Faculty of) by Subject "Risk measure"
Now showing items 1-2 of 2
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Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
(Elsevier, 2017-10-01)We introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are coherent, additive for co-monotonic risks, convenient computationally, ... -
Robust Risk Aggregation Techniques and Applications
(University of Waterloo, 2022-08-23)Risk aggregation, which concerns the statistical behaviors of an aggregation position S(X) associated with a random vector X = (X1, . . . , Xn), is an important research topic in risk management, economics, and statistics. ...